彩票型股票与动量效应  

Lottery Stocks and Momentum Effects

作　　者：陆蓉[1] 陈实 李金龙[1] LU Rong;CHEN Shi;LI Jinlong(Shanghai University of Finance and Economics,Shanghai,China)

机构地区：[1]上海财经大学金融学院,200433

出　　处：《经济学动态》2021年第7期34-50,共17页Economic Perspectives

基　　金：国家自然科学基金项目(71773072,71773073,72073088)。

摘　　要：动量效应是最稳健的股票市场异常现象,各种风险模型均难以解释,Fama(1998)甚至称其为异常现象的"祖师爷"。动量效应在国外资本市场普遍存在,但多数研究却发现在A股市场并不明显。本文认为,A股投资者存在彩票型股票偏好,会推高当前股价并降低未来收益,该收益反转特征会减弱动量效应。采用1997—2019年A股交易数据,本文在非彩票型股票中证实了月度动量效应的存在,动量策略对冲组合能够获得0.76%的平均月度收益率(年化收益率高达9.12%)和0.81%的FF三因子月度超额收益。进一步研究发现,传统动量策略的赢家组合与彩票型股票大量重叠,这些股票较低的未来收益率会显著降低赢家组合的收益率,并减弱动量效应。本文首次将彩票型股票与动量效应联系在一起,解释了"月频动量效应消失之谜",有助于加深对A股定价机制的理解,并对投资实践有一定意义。The most robust anomaly in stock market is momentum effect, which is hard to explain by factor models. Fama(1998) referred to it as "the grandpa" of all anomalies. Momentum effect is prevalent in foreign capital markets, but most research found it rare in Chinese A-share stock market. We argue that investors in Chinese A-share stock market exhibit preference for lottery-like stocks, which would raise stock price, lower future return, and then weaken momentum effect. Using trading data from 1997 to 2019, we document monthly momentum effect in non-lottery stocks, the winner-minus-loser strategy would yield 0.76% average monthly return(annualized return of 9.12%) and 0.81% FF alpha. Further investigation finds that a large portion of stocks in winner decile of momentum strategy are lottery-like stocks, and the relatively low future return of these stocks would significantly reduce return of winner decile and eventually weaken momentum effect. We link lottery-like stock with momentum effect for the first time, explain "the puzzle of vanishing monthly momentum effect", provide better understanding of pricing mechanism of Chinese stock market and investment practice.

关 键 词：动量效应 彩票型股票 资产定价 投资策略 

分 类 号：F832.51[经济管理—金融学] F719.5